New Horizons has some sensitive vision for its investigation of the Pluto system. Because there is so little light at Pluto (comparitively), when looking back at Io and Europa it was able to capture this image with what looks like a considerable amount of “jupitershine” reflecting off of Io. Normally this kind of reflection is quite subtle. Furthermore, the reason Europa has no “jupitershine” is because it is closer to New Horizons on the dark side of Jupiter and Io is further away on the sunlit side of Jupiter… therefore capturing some light bouncing off the cloud tops.
Yes, the blue thing on Io is a volcano.